Similar Search Results

Stock Returns under the Shadow of the COVID-19 Pandemic : Evidence from China

Zhou, Wenyu; Zhou, Yujun; Zaremba, Adam; Long, Huaigang - 2023

We investigate the impacts of new COVID-19 infections on stock returns within China’s unique zero-COVID policy framework. We document a remarkable negative pattern: a COVID-19 outbreak within a city adversely affects the performance of local firms in a nonlinear fashion. This effect...

Persistent link: https://www.econbiz.de/10014354318

Seasonality in Government Bond Returns and Factor Premia

Zaremba, Adam - 2016

The study investigated both the January effect and the "sell-in-May-and-go-away" anomaly in government bond returns. It … volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992 …-2016 proved that both the bond returns and factor premia had remained unaffected by the January and "sell-in-May" effects. These …

Persistent link: https://www.econbiz.de/10012984180

Mergers and Acquisitions : Evidence on Post-Announcement Performance from CEE Stock Markets

Zaremba, Adam - 2016

The aim of this paper is to provide fresh-out of sample evidence on short-term and long-term performance following announcement of mergers and acquisitions. The research is based on 109 M&A deals in Central and Eastern European countries for years 2001-2014. For the short-horizon event studies,...

Persistent link: https://www.econbiz.de/10013005691

Reverse splits in international stock markets : reconciling the evidence on long-term returns

Zaremba, Adam; Okoń, Szymon; Asyngier, Roman; … - In: Research in international business and finance 47 (2019), pp. 552-562

Persistent link: https://www.econbiz.de/10012135800

The Buyback Anomaly on the Polish Capital Market

Szyszka, Adam - 2013

A number of studies carried on the US data found positive long-term excess returns following buybacks. The aim of this paper is to verify if a similar anomaly can be observed on the Polish market. We confirm the existence of long-term abnormal returns following buybacks and excess profitability...

Persistent link: https://www.econbiz.de/10013084346

The Cross Section of International Government Bond Returns

Zaremba, Adam - 2019

government bond returns and covers a range of more than 60 cross-sectional return patterns in government bond markets, verifying …

Persistent link: https://www.econbiz.de/10012902821

The Dividend Premium in the CEE Stock Market

Konieczka, Przemyslaw - 2016

We investigate cross-sectional patterns related to dividends in the CEE stock market. We investigate a broad sample of 1153 companies from 11 countries in years 2002-2014. We use sorting and tests based on cross-sectional regression, and apply tests of monotonic relation. The principal findings...

Persistent link: https://www.econbiz.de/10013005682

Merger Imbalance and Returns in International Equity Markets

Zaremba, Adam - 2017

At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...

Persistent link: https://www.econbiz.de/10012968527

Beware of the Crash Risk : Tail Beta and the Cross-Section of Stock Returns in China

Long, Huaigang - 2019

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative...

Persistent link: https://www.econbiz.de/10012890609

Did David Win a Battle or the War Against Goliath? Dynamic Return and Volatility Connectedness between the GameStop Stock and the High Short Interest Indices

Aharon, David Y.; Kizys, Renatas; Umar, Zaghum; … - 2021

Can a short-squeeze incident trigger financial contagion over the entire stock markets? The recent GameStop frenzy provides a unique natural experiment to explore this question. In this study, we examine the static and dynamic return and volatility connectedness among the GameStop stock, the...

Persistent link: https://www.econbiz.de/10013239066